Backtesting an equity risk model under Solvency II-Reference-Cited by-同舟云学术

Backtesting an equity risk model under Solvency II

Published:2018-08 Issue: Volume:89 Page:216-222
ISSN:0148-2963
Container-title:Journal of Business Research
language:en
Short-container-title:Journal of Business Research

Author:

Durán Santomil Pablo,Otero González Luís,Martorell Cunill Onofre,Merigó Lindahl José M.

Funder

Spanish Ministry of Economy and Competitiveness

European Regional Development Fund

Publisher

Elsevier BV

Subject

Marketing

Reference25 articles.

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3. CEIOPS’ advice for Level 2 implementing measures on Solvency II: Articles 120 to 126, Tests and standards for internal model approval. CEIOPS-DOC-48/09;CEIOPS,2009

4. Evaluating interval forecasts;Christoffersen;International Economic Review,1998

5. How relevant is volatility forecasting for financial risk management?;Christoffersen;The Review of Economics and Statistics,2000

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4. Op naar het eerste lustrum van Solvency II: een beschrijving van de uitkomsten;Maandblad voor Accountancy en Bedrijfseconomie;2021-09-02

5. Solvency II, Undertaking Specific Parameters (USPs) Validation, Generalization and Criticism;Contemporary Mathematics;2021-03-17